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The Structure of Tourism Revenues in Turkey: Evidence from Fractional Integration under Multiple Structural Breaks

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  • Burcu Kiran
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    Abstract

    This paper investigates time series properties of the tourism revenues in Turkey over the period from 1997:01 through 2010:03. First, we determine the integration order by using different versions of Robinson tests. Second, we test if the tourism revenues show any structural changes over the sample period under consideration by using Bai and Perron multiple structural break tests. The results show that the tourism revenues follow a non-stationary long memory process when we ignore potential structural breaks. When we take structural breaks into consideration and adjust data for the breaks, we still find some evidence of non-stationary long memory behavior in tourism revenues. These results imply that shocks to tourism revenues in Turkey have a permanent effect.

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    Bibliographic Info

    Article provided by Bulgarian Academy of Sciences - Economic Research Institute in its journal Economic Studies.

    Volume (Year): (2010)
    Issue (Month): 4 ()
    Pages: 85-96

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    Handle: RePEc:bas:econst:y:2010:i:4:p:85-96

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    1. Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc.
    2. L. A. Gil-Alaña & Peter M. Robinson, 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," LSE Research Online Documents on Economics 298, London School of Economics and Political Science, LSE Library.
    3. BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche 9807, Universite de Montreal, Departement de sciences economiques.
    4. Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Universite de Montreal, Departement de sciences economiques.
    5. Christine Lim & Michael McAleer, 2001. "Time Series Forecasts of International Tourism Demand for Australia," ISER Discussion Paper 0533, Institute of Social and Economic Research, Osaka University.
    6. Kulendran, N. & King, Maxwell L., 1997. "Forecasting international quarterly tourist flows using error-correction and time-series models," International Journal of Forecasting, Elsevier, vol. 13(3), pages 319-327, September.
    7. L A Gil-Alana & Peter M. Robinson, 2000. "Testing of seasonal fractional integration in UK and Japanese consumption and income," LSE Research Online Documents on Economics 2051, London School of Economics and Political Science, LSE Library.
    8. Gil-Alana, Luis A., 2002. "Structural breaks and fractional integration in the US output and unemployment rate," Economics Letters, Elsevier, vol. 77(1), pages 79-84, September.
    9. Gil-Alana, Luis A., 1999. "Testing fractional integration with monthly data," Economic Modelling, Elsevier, vol. 16(4), pages 613-629, December.
    10. Gil-Alana, Luis A., 2000. "Mean reversion in the real exchange rates," Economics Letters, Elsevier, vol. 69(3), pages 285-288, December.
    11. L A Gil-Alaña & Peter M Robinson, 2000. "Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income," STICERD - Econometrics Paper Series /2000/402, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    12. Yao, Yi-Ching, 1988. "Estimating the number of change-points via Schwarz' criterion," Statistics & Probability Letters, Elsevier, vol. 6(3), pages 181-189, February.
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